EBS Study Group

Time Series & Panel Data

We are running 12 weekly meetings from 1st August to 24th Oct, except for the week of 26th, Sep.

Time (check for each session): Wednesday afternoon 4.30-5.30/ 5.00-6.00

Location (check for each session): H4.87, Caulfield / E365, Clayton

Topics to be discussed:

  • Quantile Regression
  • Time Series Analysis
  • Spatial Panel Data

All the reading materials are shared on our team Google drive - please use your Monash account to access.

The agenda is progressively updated below:

Aug 1, Tatsushi Oka

Topics: Quantile Regression

Slides: click here to view

Location: H4.87 Caulfield, 4.30-5.30PM

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Aug 8, Yi He

Topics: Econometrics of Extreme Values

Slides: Click here to view

Location: H4.87 Caulfield, 5.00-6.00 PM

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Aug 15, Anastasios Panagiotelis & George Athanasopoulos

Topics: Forecasting hierarchical and grouped time series

Reading materials: click here for the zip file

Location: H4.87 Caulfield, 4.30PM-5.30PM

Click here for full reference list

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Aug 22, Wei Wei

Topics: Change Point, Self Exciting Jumps, and Time Varying Parameters

Slides: Click here to view

Location: H4.87 Caulfield, 4.30PM-5.30PM

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Aug 29, Benjamin Wong

Topics: Some New Methods for Detrending Economic Time Series

Slides: Click here to view

Location: H4.87 Caulfield, 4.30-5.30PM

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Sep 5, David Frazier

Topics: An Introduction to Simulation-based Inference, Broadly Defined

Slides: Click here to view

Location: E3.65 Clayton, 5-6PM

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Sep 12, Fei Liu

Topics: Nonparametric time-varying models

Slides: Click here to view

Location: H4.87 Caulfield, 4.30-5.30PM

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Sep 19, Bo Zhang

Topics: High Dimensional Unit Root Tests by Random Matrix Theory

Slides: Click here to view

Location: H4.87 Caulfield, 4.30-5.30PM

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Semester break: Sep 24-28

Oct 3, Natalia Bailey

Topics: Cross section dependence in large panels

Slides: Click here to view

Location: E365 Clayton, 5.00-6.00 PM

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Oct 10, Guowei Cui

Topics: Spatial dynamic panel data models with fixed interactive effect

Slides: Click here to view

Location: H4.87 Caulfield, 4.30-5.30PM

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Oct 17, Arturas Juodis & Vasilis Sarafidis

Topics: The Incidental Parameters Problem in Testing for Remaining Cross-section Correlation

Location: H4.87 Caulfield, 4.30-5.30PM

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Department retreat: 22 Oct -- 24 Oct

Oct 31, Xuan Liang

Topics: Network Dynamic Panel Data Model

Slides: Click here to view

Location: H4.88 Caulfield, 4-5PM

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